Strategy - FX

Description

This extends the work of swhanly with a variation of accelerating dual momentum. However, here the use of regular currency and index funds for a diversified performance.

This strategy uses the following risk-on assets: FXA, FXB, FXC, FXE, FXF, FXY, CYB, SPY, QQQ. with UBT being the risk off haven.

It will buy only one risk on asset at a time.

Trading happens on the Close of the signal day

Details

    Metrics

    Metric Measure
    AccountName default
    NoOfTrades 57.00
    NoOfWins 37.00
    NoOfLosses 20.00
    SharpRatio 0.98
    SortinoRatio 1.21
    GrossProfit $58813.86
    FirstDate 2010-01-28
    LastDate 2022-01-31
    FirstEquity $10000.00
    FinalEquity $68813.86
    OpenEquity $0.00
    LongEquity $58813.86
    ShortEquity $0.00
    PercentWins 64.91%
    AveWin $2122.22
    AveLoss $-985.42
    AveWinLoss 2.15
    Expectancy 4.18%
    AveDrawUp 37.49%
    AveDrawDown -9.05%
    MaxDrawDown -20.44%
    Kelly 48.62%
    Thrope 94.74
    APR 17.42%
    CalmarRatio 1.93

    Trades

    Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
    QQQ 2010-01-28 2010-01-29 $38.81 $38.13 Long 197.0 -1.75% 2398.95 9866.57
    SPY 2010-01-29 2010-02-26 $84.86 $87.51 Long 88.0 3.12% 2400.70 10099.52
    QQQ 2010-02-26 2010-06-30 $39.89 $38.18 Long 193.0 -4.30% 2298.20 9768.85
    UBT 2010-06-30 2010-07-30 $20.47 $20.08 Long 365.0 -1.88% 2294.31 9628.71
    FXY 2010-07-30 2010-08-31 $114.60 $117.83 Long 64.0 2.82% 2320.65 9835.43
    UBT 2010-08-31 2010-09-10 $23.56 $21.02 Long 319.0 -10.76% 9026.62 9026.62
    UBT 2010-09-29 2010-09-30 $22.35 $22.31 Long 308.0 -0.17% 2192.93 9014.72
    FXA 2010-09-30 2010-10-29 $82.19 $83.53 Long 83.0 1.64% 2242.52 9126.32
    FXY 2010-10-29 2010-11-30 $122.93 $118.16 Long 56.0 -3.88% 2093.04 8859.48
    QQQ 2010-11-30 2011-03-31 $46.67 $51.63 Long 145.0 10.64% 2283.30 9579.23
    SPY 2011-03-31 2011-04-29 $107.29 $110.40 Long 68.0 2.90% 2356.57 9790.53
    FXA 2011-04-29 2011-05-31 $95.31 $93.12 Long 78.0 -2.29% 2306.94 9619.98
    FXF 2011-05-31 2011-07-29 $116.08 $125.79 Long 63.0 8.36% 2407.78 10231.71
    UBT 2011-07-29 2011-10-14 $20.27 $27.46 Long 386.0 35.49% 13008.65 13008.65
    UBT 2011-10-28 2012-01-31 $26.18 $30.96 Long 380.0 18.25% 3535.72 14824.19
    QQQ 2012-01-31 2012-09-28 $54.80 $62.50 Long 206.0 14.06% 3911.06 16411.04
    SPY 2012-09-28 2013-07-31 $120.19 $143.24 Long 104.0 19.17% 4421.67 18807.72
    QQQ 2013-07-31 2014-03-31 $69.84 $81.83 Long 206.0 17.17% 5004.17 21277.82
    SPY 2014-03-31 2014-05-30 $161.13 $166.01 Long 101.0 3.03% 5125.42 21771.23
    UBT 2014-05-30 2014-06-30 $29.88 $29.71 Long 557.0 -0.57% 5154.15 21676.60
    QQQ 2014-06-30 2014-07-31 $87.89 $88.92 Long 188.0 1.18% 5168.52 21871.89
    UBT 2014-07-31 2014-08-29 $30.15 $32.78 Long 554.0 8.72% 5492.25 23327.60
    QQQ 2014-08-29 2014-09-30 $93.38 $92.67 Long 191.0 -0.76% 5453.25 23192.64
    UBT 2014-09-30 2014-10-31 $31.51 $33.32 Long 563.0 5.76% 5760.71 24214.10
    QQQ 2014-10-31 2015-06-30 $95.12 $101.28 Long 194.0 6.47% 5980.82 25408.25
    FXF 2015-06-30 2015-07-31 $103.89 $100.46 Long 187.0 -3.30% 24766.82 24766.82
    UBT 2015-08-31 2016-03-31 $35.24 $41.26 Long 537.0 17.10% 6635.43 28001.73
    FXA 2016-03-31 2016-04-29 $74.45 $73.89 Long 287.0 -0.75% 6562.84 27840.46
    FXY 2016-04-29 2016-06-30 $90.93 $93.58 Long 234.0 2.91% 6715.78 28460.56
    UBT 2016-06-30 2016-07-29 $46.56 $48.58 Long 467.0 4.34% 6958.55 29404.82
    FXY 2016-07-29 2016-08-31 $94.71 $93.35 Long 237.0 -1.44% 6917.53 29082.50
    QQQ 2016-08-31 2016-11-30 $111.38 $112.68 Long 199.0 1.16% 6963.45 29340.32
    SPY 2016-11-30 2016-12-30 $199.79 $203.85 Long 112.0 2.03% 7003.34 29794.19
    QQQ 2016-12-30 2017-08-31 $113.95 $141.29 Long 200.0 23.99% 8318.35 35262.16
    UBT 2017-08-31 2017-09-29 $40.64 $38.69 Long 663.0 -4.79% 8048.71 33970.22
    QQQ 2017-09-29 2017-11-30 $140.88 $150.27 Long 184.0 6.67% 8490.76 35698.91
    SPY 2017-11-30 2017-12-29 $245.12 $248.08 Long 111.0 1.21% 8513.57 36027.77
    QQQ 2017-12-29 2018-04-30 $151.18 $156.46 Long 182.0 3.50% 8694.91 36989.84
    CYB 2018-04-30 2018-05-31 $24.69 $24.40 Long 1146.0 -1.17% 8715.40 36657.69
    QQQ 2018-05-31 2018-10-31 $165.34 $165.75 Long 169.0 0.25% 36726.57 36726.57
    UBT 2018-11-30 2019-06-28 $33.62 $45.17 Long 835.0 34.38% 10955.49 46377.07
    QQQ 2019-06-28 2019-07-31 $183.53 $187.82 Long 193.0 2.33% 11125.48 47204.09
    UBT 2019-07-31 2019-11-07 $45.27 $47.11 Long 797.0 4.07% 48671.40 48671.40
    UBT 2019-11-27 2019-11-29 $50.64 $50.39 Long 735.0 -0.49% 11526.14 48488.95
    QQQ 2019-11-29 2020-01-31 $201.98 $216.21 Long 183.0 7.04% 12048.65 51091.91
    UBT 2020-01-31 2020-03-10 $54.45 $65.42 Long 717.0 20.14% 58956.35 58956.35
    UBT 2020-03-30 2020-06-04 $69.06 $61.70 Long 653.0 -10.66% 54147.00 54147.00
    UBT 2020-06-29 2020-06-30 $67.31 $66.78 Long 615.0 -0.79% 12852.14 53817.98
    QQQ 2020-06-30 2021-02-26 $245.30 $312.25 Long 167.0 27.29% 15607.80 64997.15
    SPY 2021-02-26 2021-06-30 $374.16 $423.87 Long 132.0 13.28% 16822.22 71558.21
    QQQ 2021-06-30 2021-07-30 $353.14 $363.24 Long 155.0 2.86% 17544.73 73124.17
    SPY 2021-07-30 2021-08-31 $434.21 $447.14 Long 128.0 2.98% 17615.32 74778.21
    QQQ 2021-08-31 2021-09-30 $378.56 $357.06 Long 151.0 -5.68% 16826.25 71530.80
    UBT 2021-09-30 2021-10-29 $52.05 $54.39 Long 1051.0 4.50% 17760.41 73990.14
    QQQ 2021-10-29 2021-11-30 $385.14 $392.83 Long 146.0 2.00% 17688.34 75112.96
    UBT 2021-11-30 2022-01-04 $57.31 $51.45 Long 1002.0 -10.23% 69239.44 69239.44
    UBT 2022-01-28 2022-01-31 $51.00 $50.59 Long 1038.0 -0.80% 68813.86 68813.86

    Signals

    Strategy Ratio Size Ticker Date State Type Profit Tick
    FX 0.90 0.00 Out EOM
    momentum  FXA  FXB  FXC  FXE  FXF  FXY  CYB  SPY  QQQ  UBT